Long range dependence effects and ARCH modeling

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Recent Advances in ARCH Modelling (2007, background): “…of power series and volatilities (such as absolute values |r t | or squares r 2 t ) remain non-zero for very large lags; see, e.g., Dacorogna et al. (1993), Ding et al. (1993), Baillie et al. (1996a), Ding and Granger (1996), Breidt et al. (1998), Mikosch and Stărică (2003), Andersen et al. (2001).”
Detection of multiple change-points in multivariate time series (2006, unknown): “, Mikosch and Stărică [33], Kokoszka and Teyssière [26], and Lavielle and Teyssière [30]) have shown that the strong persistence in volatility is likely to be a statistical artifact, i.”
On discriminating between long-range dependence and changes in mean (2006, background): “Mikosch and Stărică [34, 35] asserted that what had been seen by many as long memory in the volatility of returns is, in fact, a manifestation of changes in the parameters of the underlying GARCH-type models.”